High-Dimensional Variable Selection With Reciprocal L1-Regularization

DOI10.1080/01621459.2014.984812zbMath1373.62358OpenAlexW1992571403MaRDI QIDQ5367472

Faming Liang, Qifan Song

Publication date: 13 October 2017

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01621459.2014.984812

zbMATH Keywords

variable selectionLassosmoothly clipped absolute deviation (SCAD)penalized likelihood methodsreciprocal Lassostochastic approximation annealing

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)

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